6 Commits

Author SHA1 Message Date
Martin-Molinero d4e7f584f6 Daily data time adjustment (#8001)
* Daily data Time & EndTime Improvement

- Adjust daily data Time & EndTime to actually reflect the time of the
  data used, for example US Equity from 9.30 to 4PM. Adding new unit and
  regression tests

* Refactor solution to use enumerator

- Refactor daily strict end times solution to be through enumerator
  usage, so it applies for history providers too

* Minor fixes

* Revert fill forward enumerator change

- Revert FillForward enumerator causing stats changing, enhancing unit
  tests

* Some cleanup

* Improve handling of live trading FF enumerator

- Improve handling of live trading FF enumerator, by adding support for
  bars to arrive with a delay so we can handle auction close/option
  prices or data providers which might have some delay making the data
  available. Adding new unit tests asserting the behavior
2024-05-20 17:28:03 -03:00
Martin-Molinero a6283b0ab7 Fix unsupported configuration warnings filter (#7386)
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2023-07-19 12:10:10 -03:00
Martin-Molinero 2a941e73e2 Add warning for unsupported live configurations (#7383)
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- Add warning for unsupported live configurations
2023-07-18 16:18:56 -03:00
Martin-Molinero a52822853d Expand Index option support (#6849)
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* Expand Index option support

- Adjust APIs so that the same underlying can be used
  for different options, adding support for SPX weekly options. Adding
  regression tests

* Fix IndexOption.IsStandard

* Add IndexOption test
2023-01-12 16:39:02 -03:00
Martin-Molinero 2738c0f006 Refactor multi IDQH frontier (#6709)
* Refactor multi IDQH frontier

- Fix for multi IDQH frontier support, specially for IB + QC
- Adding new CompositeTimeProvide. Adding unit tests

* Adjust solution to fix new data available event
2022-10-25 11:59:21 -03:00
Martin-Molinero 87bd0d7792 CompositeDataQueueHandler handles duplicate configs (#6101)
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* CompositeDataQueueHandler handles duplicate configs

- CompositeDataQueueHandler will handle duplicate subscriptions sharing
  the same config. Adding unit tests

* Refactor bug solution after review

- LiveSubscriptionEnumerator will not long perform any symbol mapping
  but will just trigger a new subscription call when remapped.
- CompositeDHQ will handling symbol mapping and keep track of these
  mapped configs to trigger unsubscribe accordengly. Adding unit tests

* Adjust solution after review

- To avoid breaking uniqueness of SubscriptionDataConfig will be adding
  a private `mapped` property that will change equality of mapped
  configs to avoid them clashing. Adding unit tests

* Rename IDQH subscription extension methods
2021-12-09 14:53:04 -03:00